Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state--space Markov models

TL;DR

This paper proves that a nested particle filtering scheme for Bayesian parameter estimation in state-space models converges uniformly over time, ensuring accuracy and stability in long-term applications.

Contribution

The paper provides a theoretical analysis demonstrating uniform convergence of a nested particle filtering algorithm for recursive parameter estimation in state-space models.

Findings

The approximation errors vanish asymptotically as the number of samples increases.

The scheme can asymptotically identify true parameter values.

Numerical example confirms the theoretical uniform convergence.

Abstract

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the posterior probability distribution of the model parameters. In particular, the first layer yields an empirical distribution of samples on the parameter space, while the filters in the second layer are auxiliary devices to approximate the (analytically intractable) likelihood of the parameters. This approach relates the this algorithm to the recent sequential Monte Carlo square (SMC$^2$) method, which provides a {\em non-recursive} solution to the same problem. In this paper, we investigate the approximation, via the proposed scheme, of integrals of real bounded functions with respect to the posterior distribution of the system parameters. Under assumptions related to the compactness of the parameter support and the stability and continuity of the sequence of posterior distributions for the state--space model, we prove that the $L_p$ norms of the approximation errors vanish asymptotically (as the number of Monte Carlo samples generated by the algorithm increases) and uniformly over time. We also prove that, under the same assumptions, the proposed scheme can asymptotically identify the parameter values for a class of models. We conclude the paper with a numerical example that illustrates the uniform convergence results by exploring the accuracy and stability of the proposed algorithm operating with long sequences of observations.